Hi Alexander,
If you installed from the Web App Gallery, that is still version 2.2.9.6. You can install the latest version using MsDeploy from IIS using the Import Application link as described here. The Web App Gallery should update to the latest version (2.3.0.1) within the next few days.
If you are using the new 2.3.0.1 version please clarify steps to produce the problem. On this site the privacy policy page is not included in the menu because we have a link at the bottom of every page, but it is a child page of the "About" page so it highlights the about page, the idea being if it was in the menu it would highlight the entire path to the page. On my local machine using the latest code if I create a root level page and exclude it from the menu, it does not highlight anything when I visit that page.
Best,
Joe